Credit Risk Process Review

Client Needs & Objectives

Our client, a major regional corporate and retail bank, mandated us to assist the internal audit team in reviewing credit risk processes, governance and models.

The project was a key strategic milestone for the bank as it was part of the institution’s process of obtaining the regulatory approval to use the Basel II Internal Rating Based approach.

Our Approach

The project was broken down into 4 sections:

1. Transversal processes: Governance, Framing, Monitoring & Reporting

2. Credit lifecycle: underwriting and deal monitoring, post-underwriting activities

3. Model review: Probability of default (PD), Loss given default (LGD), Exposure at default (EAD) for the corporate and retail credit products (16 models)

4. Securitization: Each section had its own dedicated team, objectives and set of detailed recommendations.

Client Benefits & Main Results

Expert independent review of the bank’s risk models and processes

Detailed point-by-point recommendations to achieve compliance with international and regional regulatory standards

Complete assistance from project scoping to presentation of the recommendations for improvement and business case to the regional regulatory body